// TODO: what is this, something needs to be done here??
void MarketCheckSubscription(T4.API.Market poMarket, ref T4.DepthBuffer penDepthBuffer,
ref T4.DepthLevels penDepthLevels)
{
string tickerID = G.MarketToTickerID(poMarket);
L.Info("marketchecksubscription: {0}, {1}, {2}",
tickerID, penDepthBuffer, penDepthLevels);
}
public CTSSubDef(T4.DepthBuffer dbuf, T4.DepthLevels dlvl)
{
depthBuffer = dbuf;
depthLevels = dlvl;
}
public CTSSubDef()
{
depthBuffer = T4.DepthBuffer.NoSubscription;
depthLevels = T4.DepthLevels.Normal;
}
JToken ModifySubscription(List <ZFrame> ident, JObject msg)
{
var content = (JObject)msg["content"];
string tickerID = content["ticker_id"].ToString();
SubscriptionDefinition sd = _subscriptions[tickerID];
var oldSubDef = _ctsSubscriptions[tickerID];
L.Info(sd);
var market = GetMarket(tickerID);
T4.DepthBuffer dbuf = T4.DepthBuffer.NoSubscription;
T4.DepthLevels dlvl = T4.DepthLevels.Normal;
JToken res = null;
if (sd["trades_speed"] > 7)
{
if (sd["order_book_speed"] > 7)
{
dbuf = T4.DepthBuffer.FastTrade;
}
else if (sd["order_book_speed"] > 4)
{
dbuf = T4.DepthBuffer.SmartTrade;
}
else if (sd["order_book_speed"] > 0)
{
dbuf = T4.DepthBuffer.SlowTrade;
}
else
{
dbuf = T4.DepthBuffer.TradeOnly;
}
}
else
{
if (sd["order_book_speed"] > 7)
{
dbuf = T4.DepthBuffer.FastSmart;
}
else if (sd["order_book_speed"] > 4)
{
dbuf = T4.DepthBuffer.Smart;
}
else if (sd["order_book_speed"] > 0)
{
dbuf = T4.DepthBuffer.SlowSmart;
}
}
if ((dbuf == T4.DepthBuffer.NoSubscription || dbuf == T4.DepthBuffer.TradeOnly) &&
sd["emit_quotes"])
{
dbuf = T4.DepthBuffer.SlowSmart;
dlvl = T4.DepthLevels.BestOnly;
}
else if (dbuf != T4.DepthBuffer.NoSubscription)
{
// does cts t4 api support arbitrary depth levels or enum numbers?
dlvl = (T4.DepthLevels)Math.Min(sd["order_book_levels"], (int)T4.DepthLevels.All);
}
CTSSubDef newSubDef = new CTSSubDef(dbuf, dlvl);
if (oldSubDef.Equals(newSubDef))
{
res = JToken.FromObject("no change");
return(res);
}
//else
//{
// if (newSubDef.DepthBuffer == T4.DepthBuffer.NoSubscription)
// {
// res["order_book"] = "unsubscribed";
// res["trades"] = "unsubscribed";
// }
// else if (newSubDef.DepthBuffer == T4.DepthBuffer.TradeOnly)
// {
// res["order_book"] = "unsubscribed";
// res["trades"] = "subscribed";
// }
//}
res = JToken.FromObject(newSubDef.ToString());
_ctsSubscriptions[tickerID] = newSubDef;
if (!oldSubDef.handled)
{
market.MarketCheckSubscription += MarketCheckSubscription;
}
newSubDef.handled = true;
market.DepthSubscribe(dbuf, dlvl);
return(res);
}
